Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0100
Annualized Std Dev 0.3400
Annualized Sharpe (Rf=0%) 0.0293

Row

Daily Return Statistics

Close
Observations 3743.0000
NAs 1.0000
Minimum -0.1540
Quartile 1 -0.0081
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0000
Quartile 3 0.0086
Maximum 0.1616
SE Mean 0.0004
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0010
Variance 0.0005
Stdev 0.0214
Skewness 0.1949
Kurtosis 10.2529

Downside Risk

Close
Semi Deviation 0.0150
Gain Deviation 0.0169
Loss Deviation 0.0164
Downside Deviation (MAR=210%) 0.0193
Downside Deviation (Rf=0%) 0.0148
Downside Deviation (0%) 0.0148
Maximum Drawdown 0.7880
Historical VaR (95%) -0.0313
Historical ES (95%) -0.0510
Modified VaR (95%) -0.0293
Modified ES (95%) -0.0293
From Trough To Depth Length To Trough Recovery
2007-02-21 2009-03-06 2018-01-24 -0.7880 2752 515 2237
2018-03-12 2020-03-23 2021-02-22 -0.5429 743 512 231
2018-02-02 2018-02-08 2018-03-07 -0.0734 23 5 18
2006-05-09 2006-06-23 2006-09-25 -0.0552 97 33 64
2021-02-25 2021-02-26 2021-03-08 -0.0542 8 2 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA 1.2 -0.1 -0.5 0.2 -0.6 -0.7 -0.3 -0.9 -1.7
2007 0.3 -0.3 -0.3 0.4 0.5 -1 -1.3 1.3 1.8 -4.5 2.7 0.3 -0.4
2008 2 -3.6 5.7 4.4 -1.2 2.4 1.6 0.6 6.1 3 -15.4 4 7.8
2009 -3.4 -4.2 2.8 -2.2 -0.4 0.2 1.3 -4.6 -3.9 -3.9 -0.1 -0.2 -17.5
2010 0.7 -0.6 0.6 -0.9 -2.8 -0.7 -0.3 4 0.4 -1.2 2.3 -0.3 1.1
2011 2.4 -2 0.9 0 -3.9 1.8 -0.1 -3 -3.4 -4.5 -0.8 -0.9 -13
2012 1.7 0.6 0 0.7 -4.8 2.3 -0.6 0.2 -0.3 1.4 0 0.8 2
2013 1.4 0.3 -1 -1.5 -1.4 1.2 1.9 -1 0.9 -0.1 -0.3 0.3 0.7
2014 -1.6 0.6 1 -0.5 0.4 0.6 -1.3 0.5 -1 1.4 -1.7 -1.2 -2.8
2015 -1.3 -0.5 -0.3 -0.1 -0.7 1.5 -0.3 -4.4 -0.1 -2.1 0.7 -0.9 -8.5
2016 -0.7 4.1 0.4 -0.6 0.3 -1.1 -1 -0.5 1.4 -0.3 2 0.5 4.5
2017 0.1 3.3 -1.1 1.2 1.5 -0.2 0.7 0.8 0.6 -0.1 0.1 -0.9 6
2018 1.2 -0.6 1.1 0.5 1.3 -0.4 0.6 0.4 -0.5 0.7 1.2 0.8 6.6
2019 0.7 0.4 2.9 -1.1 -1.5 0.9 -3.8 0.4 -2.6 1.8 -0.5 0.1 -2.5
2020 -1.7 -2.9 -6.8 -4.6 1.8 -3.3 -0.4 0.4 0.5 1.6 2.3 1 -11.9
2021 1.6 3.3 -1.4 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-05-05  50.1 SPY    133.  0.0088    0.008    0.0115   0.0495    0.128    0.411   0.0609 GLD    68.0  0.0076   0.0446
2 2006-05-08  50.4 SPY    132. -0.00120   0.015    0.0114   0.0455    0.130    0.417   0.0418 GLD    67.6 -0.0063   0.0368
3 2006-05-09  50.3 SPY    133.  0.002     0.0094   0.0238   0.0569    0.126    0.434   0.0457 GLD    69.7  0.0314   0.047 
4 2006-05-10  50.3 SPY    133. -0.0005    0.0127   0.0217   0.0468    0.137    0.414   0.0586 GLD    70.4  0.01     0.059 
5 2006-05-11  49.7 SPY    131. -0.0121   -0.0031   0.018    0.0359    0.117    0.380   0.0283 GLD    71.0  0.0092   0.0526
6 2006-05-12  49.4 SPY    129. -0.0131   -0.0248   0.0028   0.0205    0.115    0.365   0.0238 GLD    71.1  0.0013   0.046 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart